ReSolve Return Stacked 60-40

Specification

Benchmark
US 60/40

Policy Report

Backtest Report

From to (3y 9m 9d)

Returns (annualized)

Portfolio 8.34%
Benchmark 8.02%

Risk (annualized)

Portfolio 9.70%
Benchmark 11.33%

Sharpe (annualized)

Portfolio 0.62
Benchmark 0.52

Excess Return (annualized)

0.33%

Tracking Error (annualized)

5.31%

Risk Free Rate (annualized)

2.50%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.83

Skew

-0.35
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Credit Factor 0.0003 0.0003
Duration Factor 0.0665 0.0665
Market Factor 0.5220 0.5220
U.S. Tilt (Non U.S.) 0.1596 0.1596
Yield Curve Factor 0.0521 0.0521

Adjusted R2

Portfolio 0.82
Benchmark 0.99

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution